MSTR / bitcoin relative value
A Strategy for
(Micro)Strategy
A point-in-time continuation of Robert Carver's relative-value model, showing what it says now and what happened after the original research period.
MSTR trades -14.9% versus the market capitalisation implied by the fitted model.
- Forecast
- -3.50
- Signal size
- 35.0% of average
- Implementation
- Next close
Current model
A negative forecast means MSTR sits below the market capitalisation its bitcoin holdings imply. The gap between actual and fitted market cap is the trade.
- MSTR market cap
- $60.0bn
- Valuation residual
- -$10.5bn
- Bitcoin held
- 845,050
- BTC value held
- $67.3bn
- Premium to BTC NAV
- 0.89x
- Rolling bitcoin beta
- 2.07x
- BTC per MSTR hedge
- 0.004167
- Daily spread volatility
- $6.13
Strategy performance
The full reconstructed history gives context. Holdout begins when Rob's supplied dataset ends; post-publication begins when the paper was released publicly.
- Holdout gross
- -1.5%
- Holdout net
- -2.8%
- Post-pub gross
- -6.1%
- Post-pub net
- -7.2%
- Holdout net Sharpe
- -0.12
- Holdout max drawdown
- -21.3%
Net performance applies 5 bps to each leg's one-way turnover and 50 bps annual MSTR borrow while short. Bitcoin futures financing and other implementation frictions are excluded.
Recent market and signal
MSTR and bitcoin are rebased to 100 at the start of each window. A forecast below zero favours MSTR; above zero favours bitcoin.
Rolling diagnostics and the model through time
Backward-looking measures separate persistent performance from isolated episodes and show how the hedge itself has evolved. Shading marks holdout onward.
Illustrative position
Sizing for $10 million of capital at a 20% annual volatility target. IBIT is included as an operational proxy for the bitcoin leg.
- Notional
- $1,025,155
- Hedge ratio
- 0.004167 BTC / share
- Notional
- $2,383,067
- IBIT proxy
- 52,688 shares
The unequal dollar notionals reflect the rolling hedge ratio. The pair targets spread risk, not equal capital on each leg.
What is being tested
The published snapshot and a valid historical simulation answer different questions. This monitor keeps them separate.
Market capitalisation is fitted as alpha plus beta times the value of bitcoin owned. The normalised residual, multiplied by 20, is the forecast.
Rob's supplied script reproduces the published alpha, beta and approximately 29.65% terminal curve, but its historical rolling function uses the final data date.
Each regression excludes the signal date, holdings and shares are delayed one trading row, the prior hedge earns the next close-to-close P&L, and stated costs are charged.
Important disclosures
This material has been prepared by Stylus Capital Partners, LLC (“Stylus”) and is provided for informational and educational purposes only. It is not intended to provide investment advice, nor does it take into account the specific investment objectives, financial situation, or needs of any particular investor.
This material does not constitute an offer to sell, or a solicitation of an offer to buy, any securities or financial instruments. Past performance is not indicative of future results. All investments involve risk, including the risk of a complete loss of capital.
Stylus's actual investment strategies and positions may differ materially from the views or models presented here. Data is believed reliable but is not guaranteed for accuracy, completeness, or timeliness.